Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1405
Annualized Std Dev 0.2932
Annualized Sharpe (Rf=0%) 0.4793

Row

Daily Return Statistics

Close
Observations 3949.0000
NAs 1.0000
Minimum -0.1382
Quartile 1 -0.0092
Median 0.0012
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0110
Maximum 0.1141
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0013
Variance 0.0003
Stdev 0.0185
Skewness -0.2510
Kurtosis 3.7518

Downside Risk

Close
Semi Deviation 0.0134
Gain Deviation 0.0120
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.6296
Historical VaR (95%) -0.0291
Historical ES (95%) -0.0428
Modified VaR (95%) -0.0296
Modified ES (95%) -0.0493
From Trough To Depth Length To Trough Recovery
2006-05-05 2008-11-20 2014-03-20 -0.6296 1970 643 1327
2020-02-20 2020-03-20 2020-06-05 -0.3659 75 22 53
2018-06-07 2018-12-24 2019-04-16 -0.2851 216 139 77
2015-06-02 2016-02-11 2016-07-26 -0.2636 291 177 114
2019-04-25 2019-05-31 2019-07-24 -0.1899 63 26 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.2 -0.1 -1.4 1.7 -1.2 3.2 -0.8 1
2006 1.8 3.9 -0.4 -0.5 3 0.5 -2.4 -1.1 -1 -2.9 -1 -1 -1.3
2007 0.8 -0.8 0.1 0.5 0.7 -0.7 -0.7 1.5 2.6 -2.5 -1 -0.2 0.1
2008 3.5 -2.6 3.4 3.7 0.8 -0.4 -0.9 -1.7 -2.9 2.7 -8.7 2.7 -1.1
2009 -2.3 0.1 1.4 0 4.5 1.6 0 -2.3 -5.5 -2.7 3.3 -0.9 -3.2
2010 3.6 2.8 -0.4 -4.2 -2.9 -0.2 -1.4 2.5 0.2 -1.1 3.2 -0.6 1.2
2011 3.5 -1.6 -1.1 0.3 -1.8 2 -0.4 -1.8 -2.3 -2.7 0.2 -0.9 -6.7
2012 1.4 -0.4 1.1 0.6 -3.9 3.6 -1.2 0.9 -1.8 2.9 0.1 2.3 5.4
2013 2.3 -1.2 -1.5 -1.7 -0.9 0.3 2 -1.3 0.1 -1.1 0.7 0.8 -1.8
2014 -0.6 0.4 1.5 0.3 0.4 1.3 0.7 1 -2.8 4.8 -1.6 -0.7 4.6
2015 -2.6 -0.1 -1.1 2.8 0.3 -0.4 -0.8 -3.3 -1.3 1.5 1 -1.6 -5.7
2016 0.5 2.3 0.5 -2.8 0.4 -0.5 0.1 1 1.4 -0.4 -5.6 -1.4 -4.6
2017 2.1 1.9 0.2 1.6 0.1 -0.8 0.1 0.8 0.9 -2 -1.4 -0.8 2.6
2018 -0.2 -1.3 2.1 1.3 2 0.2 -0.3 0.6 -0.3 4.3 1.7 0.3 10.8
2019 1.2 0.9 2.3 -0.7 -1.5 2.4 -1 1 -1.1 2.1 -1.2 0.2 4.7
2020 -3.7 2 -5.1 -5.7 -0.3 -1.4 -0.4 1.7 2.7 -1.5 2 0.2 -9.5
2021 4.4 4.5 1.3 NA NA NA NA NA NA NA NA NA 10.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  15.0 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.7 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.3 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  14.6 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  14.5 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  14.5 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart